Ilze Kalnina

Assistant Professor of Economics

Department of Economics
Poole College of Management
North Carolina State University

Nelson Hall 4164; Box 8110
Raleigh, NC 27695-8110

Email: ikalnin [at] ncsu [dot] edu

Curriculum Vitae: pdf


Research papers:

"Marginal Effects for Probit and Tobit with Endogendity," 2024 (with K. Evdokimov and A. Zeleneev) (pdf)

"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," 2023,
Journal of Business and Economic Statistics 41, 538-549 (pdf)

"Cross-Sectional Dependence in Idiosyncratic Volatility," 2022 (with K. Tewou), resubmitted, Journal of Econometrics (pdf)

"High-Frequency Factor Models and Regressions," 2020 (with Y. Aït-Sahalia and D. Xiu), Journal of Econometrics 216, 86-105 (pdf), High-Frequency Fama-French and Momentum Factors

"Improved Estimation by Simulated Maximum Likelihood," 2020 (with K. Evdokimov)

"Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency," 2017 (with D. Xiu),
Journal of the American Statistical Association 112, 384-396 (pdf)

"Estimation of Measures of Volatility using High Frequency Data," 2015 (with N.Sizova; in Russian), Quantile 13, 3-14 (link)

"Subsampling High Frequency Data," 2011, Journal of Econometrics 161, 262-283 (pdf)

"Estimating Quadratic Variation in the Presence of Endogenous and Diurnal Microstructure Noise," 2008 (with O. Linton), Journal of Econometrics 147, 47-59 (pdf)

"Discussion of Yacine Ait-Sahalia and Barndorff-Nielsen and Shephard," 2007 (with O. Linton), in Advances in Economics and Econometrics. Theory and Applications, IX World Congress, Econometric Society Monographs, 2007, Vol.3 (link)